Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0411
Annualized Std Dev 0.1346
Annualized Sharpe (Rf=0%) 0.3050

Row

Daily Return Statistics

Close
Observations 2899.0000
NAs 1.0000
Minimum -0.0727
Quartile 1 -0.0044
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0049
Maximum 0.1227
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0085
Skewness 0.6702
Kurtosis 20.9674

Downside Risk

Close
Semi Deviation 0.0060
Gain Deviation 0.0060
Loss Deviation 0.0059
Downside Deviation (MAR=210%) 0.0113
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.2340
Historical VaR (95%) -0.0127
Historical ES (95%) -0.0184
Modified VaR (95%) -0.0085
Modified ES (95%) -0.0085
From Trough To Depth Length To Trough Recovery
2012-12-11 2013-09-05 2019-08-14 -0.2340 1680 185 1495
2020-03-09 2020-03-18 2020-04-24 -0.2260 34 8 26
2010-11-03 2011-02-10 2011-07-29 -0.1330 186 69 117
2020-08-05 2021-03-18 NA -0.1185 158 156 NA
2019-08-30 2019-09-13 2020-01-31 -0.0731 106 10 96

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA 0.5 0.8 -0.7 0 0.6
2010 0 -0.3 0.2 0 0.1 -0.8 0.7 -1.3 0.3 0.2 -1.3 1.2 -1
2011 0.2 0.5 0.7 0 1.2 0 0.7 1.9 0 2.6 -0.2 -0.1 7.6
2012 -0.3 -1 -1.3 -0.2 2.2 -1.5 -0.1 0.8 0.4 -0.3 0.2 -1.5 -2.6
2013 -1.2 0.6 0.5 0.4 -0.2 0.3 -1.6 -0.8 -0.1 -1.2 -0.3 -0.6 -4.3
2014 0.5 0.3 -0.7 1.5 -0.4 -1.2 0.8 -0.6 2.3 -0.3 -0.6 1.2 3
2015 2 0.9 1.9 -1.2 -1.3 -1.3 0.3 -0.5 1.3 1 1.1 0.4 4.6
2016 -0.3 -0.7 0.4 0.4 0 1.8 -1.5 -0.1 -0.2 -0.1 -1.4 0.8 -0.9
2017 -0.8 -1.5 0.7 -1.5 -0.2 -0.6 0.3 -0.6 -0.2 0.1 1.2 0.5 -2.7
2018 -1.4 0.8 0.7 -1.1 -0.5 0 -1 -0.6 -1 -0.6 0.4 -0.1 -4.4
2019 -0.7 -0.4 -1.1 -0.2 1.6 -0.9 0.4 -0.8 0.1 0.3 -0.8 -0.5 -3
2020 1.2 0.8 2.2 0 -0.1 0.1 0.7 0.4 0 -1.2 -0.8 0.6 3.9
2021 -0.6 -1.7 1.1 NA NA NA NA NA NA NA NA NA -1.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-09-08  50.1 SPY    103.  0.0086   0.0047   0.0172   0.0877   -0.189   -0.211  -0.0879 GLD    97.4 -0.001     0.0431
2 2009-09-09  50.1 SPY    104.  0.0077   0.0352   0.0271   0.0988   -0.158   -0.202  -0.0786 GLD    97.1 -0.0036    0.0339
3 2009-09-10  50.6 SPY    105.  0.0102   0.0498   0.0507   0.105    -0.153   -0.196  -0.0684 GLD    97.7  0.0064    0.0157
4 2009-09-11  50.8 SPY    105. -0.0002   0.0409   0.0394   0.102    -0.165   -0.197  -0.0733 GLD    98.8  0.0111    0.0135
5 2009-09-14  50.4 SPY    105.  0.0049   0.0316   0.0365   0.133    -0.165   -0.200  -0.0719 GLD    98.0 -0.0083    0.0044
6 2009-09-15  50.4 SPY    106.  0.0042   0.027    0.0489   0.154    -0.120   -0.200  -0.0699 GLD    98.9  0.00960   0.0151
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart